Evaluation and Management of CollateralGLOBAL PREMIER EXCHANGE

Evaluation of Collateral

Among the collaterals, substitute securities and foreign currencies are subject to changes in value and the possibility of the decline of the collateral value. Therefore, substitute securities and foreign currencies are recognized only up to a certain ratio (haircut) of the base prices to secure sufficient collateral value in case of collateral devaluation in emergency. The KRX evaluates collaterals by their market value every day to measure the accurate collateral value.

Collateral Assessment Recognition Ratio

Collateral assessment ratio (haircut ratio) should be determined by fully taking into consideration emergent situation to secure collateral disposal value that amounts over the collateral assessment amount and is calculated by measuring historical price volatility and liquidity. In addition, to limit the procyclical changes, the volatility measurement period and the confidence level are set in a conservative manner.

< Collateral Assessment Recognition Ratio >(As of Aug.2015)

Classification

Type of asset

Ratio

Cash

KRW

100%

Foreign currencies

USD, JPY, EUR, GBP, HKD, AUD, AGD, CHF, CAD, CNY

95%

Substitute securities

Stocks, etc.

① Issues that are constituent stocks of KOSPI200 and their average daily trading value is placed at the top 50%

② Issues whose average daily trading value is placed at the bottom 5% and that listed in the KOSPI and KOSDAQ market, The issues listed in KONEX market